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Gary Koop · Dimitris Korobilis

This 2014 European Economic Review paper by Gary Koop and Dimitris Korobilis develops a time-varying-parameter factor-augmented VAR (TVP-FAVAR) with dynamic model averaging (DMA) to construct a …

Hanno Kase · Leonardo Melosi · Matthias Rottner

By treating a nonlinear model's own parameters as extra "pseudo state variables" that a neural network learns to solve for across the entire parameter space at once, and by training a second network …

Renato Faccini · Seungcheol Lee · Ralph Luetticke · Morten O. Ravn · Tobias Renkin

How do consumer credit spreads — the gap between household borrowing rates and deposit rates — affect aggregate business cycle dynamics and the distribution of consumption across the wealth …

Kirstin Hubrich · Yves S. Schüler · Daniel Waggoner

This paper investigates the role of leverage of financial institutions in amplifying the transmission of financial shocks to the macroeconomy, with particular attention to whether that amplification …

Jonas E Arias · Juan F Rubio-Ramírez · Minchul Shin · Daniel F Waggoner

The paper asks how to conduct valid Bayesian inference in time-varying structural vector autoregressions (SVARs) identified with sign restrictions, a setting in which existing algorithms are shown to …

Atsushi Inoue · Lutz Kilian

This 2022 Journal of Econometrics paper by Atsushi Inoue and Lutz Kilian develops a Bayesian decision-theoretic framework for reporting inference about an entire vector of structural VAR impulse …

Andrea Carriero · Todd E. Clark · Massimiliano Marcellino

This 2019 Journal of Econometrics paper by Andrea Carriero, Todd Clark, and Massimiliano Marcellino develops a computationally efficient Markov Chain Monte Carlo (MCMC) algorithm for estimating large …

Adrien Auclert · Matthew Rognlie · Ludwig Straub

Estimating a heterogeneous-agent New Keynesian model with "sticky expectations" that simultaneously matches households' large immediate marginal propensities to consume and the hump-shaped aggregate …

Maximilian Schröder

This paper introduces a Bayesian Gaussian mixture density regression framework that estimates the complete forecast distribution of inflation — not just selected quantiles — and decomposes the entire …

Christopher Gust · Edward Herbst · David López-Salido

Central banks must set policy under uncertainty about how private-sector expectations form, which changes how monetary policy transmits to output and inflation. This paper studies optimal …

Thomas J. Sargent · Ulf Söderström

Summarizing Sargent's "The Conquest of American Inflation," this essay compares the popular rational-expectations "triumph of natural-rate theory" account of the rise and fall of U.S. inflation …

Marco Del Negro · Giorgio E. Primiceri

This 2015 Review of Economic Studies corrigendum identifies and fixes a flaw in the Gibbs-sampling algorithm that Primiceri (2005) used to estimate time-varying-parameter structural VARs with …

Jonas E. Arias · Juan F. Rubio-Ramírez · Daniel F. Waggoner

Structural vector autoregressions (SVARs) identified with sign restrictions are a widely used tool for estimating dynamic causal effects in macroeconomics. Critics—notably Baumeister and Hamilton …

Adrien Auclert · Bence Bardóczy · Matthew Rognlie · Ludwig Straub

Auclert, Bardóczy, Rognlie, and Straub introduce the "sequence-space Jacobian," a fast algorithm for computing the first-order derivatives of general-equilibrium heterogeneous-agent models with …